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Actuarial Calculations Using a Markov Model
that applies the approach to select and ultimate mortality. 1. INTRODUCTION 1.1 Background Some traditional ... EXAMPLE OF Two*STATE MODEL 2 Dead a simple life annuity, benefits are payable while the annuitant is in ...- Authors: Bruce Jones
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Markov Chain
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Universal Life Valuation and Nonforfeiture: A Generalized Model
universal life type. Includes discussion and author’s review of discussion. From Transactions of Society ... rates=Interest rates;Life reserves;Life valuation;Mortality rates=Mortality tables=Death rates ;Nonforfeiture ben ...- Authors: Robert J Callahan, Shane A Chalke, Michael F Davlin, Jeffery Dukes, Thomas G Kabele, Lawrence Silkes, Steven Sommer
- Date: Oct 1983
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Financial Reporting & Accounting>Statutory accounting; Life Insurance>Universal life
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Weighted Exposure Formulas
Volume 7, Number 17. The author notes that in mortality studies the ‘natural’ unit for exposures and deaths ... vary during the observation period.’ Mortality rates=Mortality tables=Death rates ; 1248 3/1/1955 12:00:00 ...- Authors: Alan A. Groth
- Date: Mar 1955
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Experience Studies & Data>Mortality; Modeling & Statistical Methods
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A Select and Ultimate Parametric Model
that explains the pattern of mortality for the female and male mortality rates of the 1975–80 Select and ... model is useful because it can predict the select mortality rates beyond the 15-year select period and because ...- Authors: Jacques F Carriere
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession
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The Projected Unit Credit Method with Benefits Apportioned by Interest-Adjusted Salary
ALLOCATIONS FOR EQUATION 2 WITH OTHER METHODS Table l presents the benefit-apportioning ratio by service ... ular enlistees in the military services of the U.S. under the five different cost methods. The first ...- Authors: Gerald Lee Giesecke
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Pensions & Retirement>Assumptions and methods
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Integer Functions and Life Contingencies
Integer Functions and Life Contingencies In this paper, the author studies the ‘applications ... deaths assumptions.’ Includes discussion and author’s review of discussion. From Transactions of Society ...- Authors: Cecil J Nesbitt, Elias Shiu, A D Wilkie
- Date: Oct 1982
- Competency: Professional Values>Practice expertise; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession>Professional development
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Option Pricing by Esscher Transforms
46 OPTION PRICING BY ESSCHER TRANSFORMS HANS U. GERBER AND ELIAS S.W. SHIU ABSTRACT The Esscher ... interest is constant and denote it by ~. For t->0, let S~(t), Sz(t) . . . . . Sn(t) denote the prices of ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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A One-Factor Interest Rate Model and the Valuation of Loans with Prepayment Provisions
5/60=1/12 of a year, or one month. Table 1 shows values of s(i,t), the cumulative effect of up and ... assumption, the expected value of s(i,t) at time t is 0 and the variance of s(i,t) at time t is t. The one-period ...- Authors: Michael Sherris
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value